From Rough Path Estimates to Multilevel Monte Carlo.

Christian Bayer Peter K. Friz Sebastian Riedel John Schoenmakers

Published in: SIAM J. Numer. Anal. (2016)

Keyphrases

monte carlo
importance sampling
monte carlo simulation
confidence intervals
markov chain
simulation study
rough sets
monte carlo methods
monte carlo tree search
particle filter
adaptive sampling
temporal difference
monte carlo method
stochastic approximation
genetic algorithm
variance reduction